Stochastic approximation methods in stochastic optimization

Stochastic approximation methods for stochastic optimization are considered. Reviewed the main methods of stochastic approximation: stochastic quasi-gradient algorithm, Kiefer-Wolfowitz algorithm and adaptive rules for them, simultaneous perturbation stochastic approximation (SPSA) algorithm. Suggested the model and the solution of the retailer's profit optimization problem and considered an application of the SQG-algorithm for the optimization problems with objective functions given in the form of ordinary differential equation.

Learning in neural networks and stochastic approximation methods with averaging

The problem of adjusting the weights (learning) in multilayer feedforward neural networks (NN) is known to be of a high importance when utilizing NN techniques in various practical applications. The learning procedure is to be performed as fast as possible and in a simple computational fashion, the two requirements which are usually not satisfied practically by the methods developed so far. Moreover, the presence of random inaccuracies are usually not taken into account. In view of these three issues, an alternative stochastic approximation approach discussed in the paper, seems to be very promising.

Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable con dence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation and the Stochastic Mirror Descent (SMD) algorithms. When the objective functions are uniformly convex, we also propose a multistep extension of the Stochastic Mirror Descent algorithm and obtain con dence intervals on both the optimal values and optimal solutions. Numerical simulations show that our con dence intervals are much less conservative and are quicker to compute than previously obtained con dence intervals for SMD and that the multistep Stochastic Mirror Descent algorithm can obtain a good approximate solution much quicker than its nonmultistep counterpart. Our con dence intervals are also more reliable than asymptotic con dence intervals when the sample size is not much larger than the problem size.

A stochastic approximation algorithm with Markov chain Monte-Carlo method for incomplete data estimation problems

We propose a general procedure for solving incomplete data estimation problems. The procedure can be used to find the maximum likelihood estimate or to solve estimating equations in difficult cases such as estimation with the censored or truncated regression model, the nonlinear structural measurement error model, and the random effects model. The procedure is based on the general principle of stochastic approximation and the Markov chain Monte-Carlo method. Applying the theory on adaptive algorithms, we derive conditions under which the proposed procedure converges. Simulation studies also indicate that the proposed procedure consistently converges to the maximum likelihood estimate for the structural measurement error logistic regression model.

An empirical study of three stochastic approximation techniques applicable to sensitivity testing (U)

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Stochastic Optimization in Robust Statistic

2000 Mathematics Subject Classification: 62J05, 62G35

PRACTICAL STOCHASTIC MODEL FOR CHEMICAL KINETICS

The Practical Stochastic Model is a simple and robust method to describe coupled chemical reactions. The connection between this stochastic method and a deterministic method was initially established to understand how the parameters and variables that describe the concentration in both methods were related. It was necessary to define two main concepts to make this connection: the filling of compartments or dilutions and the rate of reaction enhancement. The parameters, variables, and the time of the stochastic methods were scaled with the size of the compartment and were compared with a deterministic method. The deterministic approach was employed as an initial reference to achieve a consistent stochastic result. Finally, an independent robust stochastic method was obtained. This method could be compared with the Stochastic Simulation Algorithm developed by Gillespie, 1977. The Practical Stochastic Model produced absolute values that were essential to describe non-linear chemical reactions with a simple structure, and allowed for a correct description of the chemical kinetics.

Alignment by Maximization of Mutual Information

A new information-theoretic approach is presented for finding the pose of an object in an image. The technique does not require information about the surface properties of the object, besides its shape, and is robust with respect to variations of illumination. In our derivation, few assumptions are made about the nature of the imaging process. As a result the algorithms are quite general and can foreseeably be used in a wide variety of imaging situations. Experiments are presented that demonstrate the approach registering magnetic resonance (MR) images with computed tomography (CT) images, aligning a complex 3D object model to real scenes including clutter and occlusion, tracking a human head in a video sequence and aligning a view-based 2D object model to real images. The method is based on a formulation of the mutual information between the model and the image called EMMA. As applied here the technique is intensity-based, rather than feature-based. It works well in domains where edge or gradient-magnitude based methods have difficulty, yet it is more robust than traditional correlation. Additionally, it has an efficient implementation that is based on stochastic approximation. Finally, we will describe a number of additional real-world applications that can be solved efficiently and reliably using EMMA. EMMA can be used in machine learning to find maximally informative projections of high-dimensional data. EMMA can also be used to detect and correct corruption in magnetic resonance images (MRI).

On the Convergence of Stochastic Iterative Dynamic Programming Algorithms

Recent developments in the area of reinforcement learning have yielded a number of new algorithms for the prediction and control of Markovian environments. These algorithms, including the TD(lambda) algorithm of Sutton (1988) and the Q-learning algorithm of Watkins (1989), can be motivated heuristically as approximations to dynamic programming (DP). In this paper we provide a rigorous proof of convergence of these DP-based learning algorithms by relating them to the powerful techniques of stochastic approximation theory via a new convergence theorem. The theorem establishes a general class of convergent algorithms to which both TD(lambda) and Q-learning belong.

On learning dynamics underlying the evolution of learning rules.

In order to understand the development of non-genetically encoded actions during an animal's lifespan, it is necessary to analyze the dynamics and evolution of learning rules producing behavior. Owing to the intrinsic stochastic and frequency-dependent nature of learning dynamics, these rules are often studied in evolutionary biology via agent-based computer simulations. In this paper, we show that stochastic approximation theory can help to qualitatively understand learning dynamics and formulate analytical models for the evolution of learning rules. We consider a population of individuals repeatedly interacting during their lifespan, and where the stage game faced by the individuals fluctuates according to an environmental stochastic process. Individuals adjust their behavioral actions according to learning rules belonging to the class of experience-weighted attraction learning mechanisms, which includes standard reinforcement and Bayesian learning as special cases. We use stochastic approximation theory in order to derive differential equations governing action play probabilities, which turn out to have qualitative features of mutator-selection equations. We then perform agent-based simulations to find the conditions where the deterministic approximation is closest to the original stochastic learning process for standard 2-action 2-player fluctuating games, where interaction between learning rules and preference reversal may occur. Finally, we analyze a simplified model for the evolution of learning in a producer-scrounger game, which shows that the exploration rate can interact in a non-intuitive way with other features of co-evolving learning rules. Overall, our analyses illustrate the usefulness of applying stochastic approximation theory in the study of animal learning.

A model for the evolution of reinforcement learning in fluctuating games

Many species are able to learn to associate behaviours with rewards as this gives fitness advantages in changing environments. Social interactions between population members may, however, require more cognitive abilities than simple trial-and-error learning, in particular the capacity to make accurate hypotheses about the material payoff consequences of alternative action combinations. It is unclear in this context whether natural selection necessarily favours individuals to use information about payoffs associated with nontried actions (hypothetical payoffs), as opposed to simple reinforcement of realized payoff. Here, we develop an evolutionary model in which individuals are genetically determined to use either trial-and-error learning or learning based on hypothetical reinforcements, and ask what is the evolutionarily stable learning rule under pairwise symmetric two-action stochastic repeated games played over the individual's lifetime. We analyse through stochastic approximation theory and simulations the learning dynamics on the behavioural timescale, and derive conditions where trial-and-error learning outcompetes hypothetical reinforcement learning on the evolutionary timescale. This occurs in particular under repeated cooperative interactions with the same partner. By contrast, we find that hypothetical reinforcement learners tend to be favoured under random interactions, but stable polymorphisms can also obtain where trial-and-error learners are maintained at a low frequency. We conclude that specific game structures can select for trial-and-error learning even in the absence of costs of cognition, which illustrates that cost-free increased cognition can be counterselected under social interactions.

Parallel Hybrid Monte Carlo Algorithms for Matrix Computations

In this paper we consider hybrid (fast stochastic approximation and deterministic refinement) algorithms for Matrix Inversion (MI) and Solving Systems of Linear Equations (SLAE). Monte Carlo methods are used for the stochastic approximation, since it is known that they are very efficient in finding a quick rough approximation of the element or a row of the inverse matrix or finding a component of the solution vector. We show how the stochastic approximation of the MI can be combined with a deterministic refinement procedure to obtain MI with the required precision and further solve the SLAE using MI. We employ a splitting A = D – C of a given non-singular matrix A, where D is a diagonal dominant matrix and matrix C is a diagonal matrix. In our algorithm for solving SLAE and MI different choices of D can be considered in order to control the norm of matrix T = D –1C, of the resulting SLAE and to minimize the number of the Markov Chains required to reach given precision. Further we run the algorithms on a mini-Grid and investigate their efficiency depending on the granularity. Corresponding experimental results are presented.

Inference on Survival Data with Covariate Measurement Error - An Imputation-based Approach

We propose a new method for fitting proportional hazards models with error-prone covariates. Regression coefficients are estimated by solving an estimating equation that is the average of the partial likelihood scores based on imputed true covariates. For the purpose of imputation, a linear spline model is assumed on the baseline hazard. We discuss consistency and asymptotic normality of the resulting estimators, and propose a stochastic approximation scheme to obtain the estimates. The algorithm is easy to implement, and reduces to the ordinary Cox partial likelihood approach when the measurement error has a degenerative distribution. Simulations indicate high efficiency and robustness. We consider the special case where error-prone replicates are available on the unobserved true covariates. As expected, increasing the number of replicate for the unobserved covariates increases efficiency and reduces bias. We illustrate the practical utility of the proposed method with an Eastern Cooperative Oncology Group clinical trial where a genetic marker, c-myc expression level, is subject to measurement error.

Hierarchical Markov Random Fields Applied to Model Soft Tissue Deformations on Graphics Hardware

Many methodologies dealing with prediction or simulation of soft tissue deformations on medical image data require preprocessing of the data in order to produce a different shape representation that complies with standard methodologies, such as mass–spring networks, finite element method s (FEM). On the other hand, methodologies working directly on the image space normally do not take into account mechanical behavior of tissues and tend to lack physics foundations driving soft tissue deformations. This chapter presents a method to simulate soft tissue deformations based on coupled concepts from image analysis and mechanics theory. The proposed methodology is based on a robust stochastic approach that takes into account material properties retrieved directly from the image, concepts from continuum mechanics and FEM. The optimization framework is solved within a hierarchical Markov random field (HMRF) which is implemented on the graphics processor unit (GPU See Graphics processing unit ).

Computational Schemes for Optimizing Domains of Attraction in Dynamical Systems

In this paper, several computational schemes are presented for the optimal tuning of the global behavior of nonlinear dynamical sys- tems. Specifically, the maximization of the size of domains of attraction associated with invariants in parametrized dynamical sys- tems is addressed. Cell Mapping (CM) tech- niques are used to estimate the size of the domains, and such size is then maximized via different optimization tools. First, a ge- netic algorithm is tested whose performance shows to be good for determining global maxima at the expense of high computa- tional cost. Secondly, an iterative scheme based on a Stochastic Approximation proce- dure (the Kiefer-Wolfowitz algorithm) is eval- uated showing acceptable performance at low cost. Finally, several schemes combining neu- ral network based estimations and optimiza- tion procedures are addressed with promising results. The performance of the methods is illus- trated with two applications: first on the well-known van der Pol equation with stan- dard parametrization, and second the tuning of a controller for saturated systems.